backtests
The FTSE 100 compounded at 1.55% a year from 2000 to 2025. Sector momentum on the same market compounded at 11.09%, a +9.54% annual excess with the highest win rate of our 13 markets at 70.19% of quarters. Never held cash in 104 quarters. Technology led 35 of them.
value-investing
The P/TBV strategy on the Hong Kong Stock Exchange returned 6.48% annualised over 25 years against the Hang Seng's 1.64%, adding 4.84% per year with a 68% win rate. $10,000 grew to $48,000 vs $15,000 for the index.
backtests
We tested the 52-Week Low + Piotroski F-score strategy across 16 global exchanges from 2002 to 2025. Five beat their local benchmark. Japan and China lead on raw excess; Germany is the most defensive implementation.
backtests
A $10,000 investment in 2002 following this strategy on the Hong Kong Stock Exchange was worth $7,465 by end of 2025. That's a 25% nominal loss over 24 years, not accounting for inflation. Contents 1. Method 2. What We Found 3. Year-by-Year 4. Why Hong Kong
backtests
Buying stocks near their annual lows sounds like a straightforward mean-reversion play. Add a Piotroski quality filter to avoid value traps and you have a disciplined, testable strategy. We ran it on the SIX Swiss Exchange from 2002 through 2025. The result: $10,000 became $6,481 over 24 years.
backtests
Screened XETRA for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 8.59% CAGR vs 5.04% DAX (+3.55%), Sharpe 0.423, 64% win rate, 0 cash periods. Signal works vs the local benchmark; absolute returns lower than Anglo-Saxon markets.
backtests
Screened NSE for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 10.04% CAGR vs 12.06% Sensex (-2.02%). Strong absolute returns but underperforms local benchmark. 2014: +48.3% excess, 2009: +37.9% excess. 7 cash years (2000-2006), 18 invested years.
backtests
Screened LSE for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 12.35% CAGR vs 1.23% FTSE 100 price index (+11.12%), max drawdown -22.0%, 92% win rate (highest of 17 exchanges). 2008: +0.9% while FTSE 100 fell -22.0%. FTSE 100 benchmark is price-only.
backtests
Screened TSX for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 11.34% CAGR vs 3.95% TSX Composite (+7.38%), Sharpe 0.611 (best of 17 exchanges), down capture -31.7%. 0 cash periods, 21.6 avg stocks, 76% win rate. 2000: +45.7% excess vs TSX.
backtests
China's equity markets are retail-dominated, sentiment-driven, and structurally disconnected from the fundamentals of individual companies. That makes them a strange testing ground for a quality-filtered 52-week low screen. The result is better than you'd expect. Contents 1. Method 2. What We Found 3. Year-by-Year 4. China&
backtests
Screened NYSE/NASDAQ/AMEX for 3-year net income growth streaks, ROE > 8%, D/E < 2.0. Result: 11.55% CAGR vs 7.85% SPY (+3.70%), Sharpe 0.574, max drawdown -24.4%, down capture 60.8%. 25 years, 0 cash periods, 27 avg stocks. Full backtest data.
backtests
We ran the Graham Number screen on 12 exchanges over 25 years, each benchmarked against its local stock index. 9 of 12 beat their local benchmark clearly. Sweden leads with +10.08% annual excess; Japan delivers the best Sharpe. Only India and the US underperform their home market; Hong Kong ties.